The people were 'at the mercy of' the advancing army. = The army advanced, and the people were 'at their mercy'. [=the people could do nothing to defend themselves from the army]
The prisoner confessed his crimes and 'threw himself on the mercy of' the court. [=the prisoner begged the court for mercy]
He 'showed no mercy' to his enemies. = He 'showed' his enemies 'no mercy'. [=he treated his enemies very harshly]
(..) I will. If one or both of them were to confess before the trial... Then they will be shown the Mother's mercy. And what does the Mother's mercy entail? It depends upon the situation. The acts themselves, the degree of contrition. (..)2015 TvShow: Game of Thrones Title: The Gift Season: 5 Episode 7